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LBR_HistVoltyRatio

Formula for: TradeStation

indicator

Views: 1565

Added: June 14, 2008

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Tags: TradeStation, indicator

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The LBR_HistVoltyRatio indicator calculates the ratio between two Historical Volatility testing periods. See the interview with Linda Bradford Raschke, Back to the Basics, for more information.

How it works: The LBR_HistVoltyRatio indicator calculates the ratio between two Historical Volatility testing periods.

Historical volatility, sometimes referred to as statistical volatility, is volatility based on the price movement of the underlying asset. This volatility number tells how much the price has oscillated historically as an annualized percentage, for the number of days we are looking back.

When the ratio between the two volatility numbers is below .50, the stock is less volatile and is moving in a consistent way up or down. Above .5, the stock is more volatility and changes direction frequently.

Works only for daily charts.

Inputs: Len1( 6 ) - Number of bars to lookback for the fast statistical volatility calculation.
Len2( 100 ) - Number of bars to lookback for the fast statistical volatility calculation.
CutOff( .50 ) - Center reference line.

Entry / Plot Descriptions:
Plot1 - Plots the fast statistical volatility value.
Plot2 - Plots the slow statistical volatility value.
Plot3 - Plots a .5 center reference line.

Suggested Modifications: You may want to try other length values for the two inputs.

About the Author/Submitter: Linda Bradford-Raschke - http://www.lbrgroup.com

Code:

Type : Indicator, Name : LBR_HistVoltyRatio

inputs:
Len1(6),
Len2(100),
CutOff(.50);

vars:
HVol(0);

Plot1(VolatilityStdDev(Len1) / VolatilityStdDev(Len2), "HV1");
Plot2(CutOff, "CutOff");

if Plot1 crosses above Plot2 OR Plot1 crosses below Plot2 then Alert;

Author: Linda Bradford-Raschke
Source: http://www.tradestation.com

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